We moved to America in August, and Costco is a way of life here for many. We joined about a month ago, and it is great.
Not sure what I'm about to say holds true for Costco in the UK, but recent purchases at a good price include soup (had to buy 12 cans), Kitchen towel (again think 12 rolls), swim costume/swim goggles for dd, contraption to store garden hose, cookery book for sister's birthday, etc.
Another friend bought a climbing frame/slide/swing 'fort' for the back garden - not sure how she got it home...though it came in massive flat pack which had to be assembled! She also bought a set of luggage, which she says is a name brand who have produced a line exclusively for Costco that can be bought at a significant discount off 'normal' store price.
DD loves to go as they are always handing out free food samples, so she trots around trying out all that's on offer. In order for food to really be worth it, you've got to freeze in quantity - unless you have a big family. Their produce is good - last week we got a huge box of strawberries at a fairly remarkable price. Their meat looks nice too, but I haven't tried (my pal swears by it). They've got name brands in freezer section, just in huge catering size boxes.
The only thing that caught me off guard is that they only accept cash, cheques and debit cards (or their own issued Amex).
Have you been in to look around?